Grand Duchess Elizabeth was the widow of Grand Duke Sergeii Alexandrovich, who had been assassinated by terrorists in 1905. After her husband's death, she gave away her magnificent collection of jewels, including her wedding ring, and sold her other possessions. With the proceeds she opened the Convent of Sts. Martha and Mary and became its abbess. Her vision was to begin a religious community, made up of women from all social strata, that would merge the ideals of saints Martha and Mary, dedicated both to prayer and to serving the needs of the poor. She purchased a tract of land in Moscow and constructed a hospital, an orphanage for girls, and quarters for the nuns. Working in conjunction with church authorities she developed the monastic rule and habit—which differed somewhat from the traditional habit of Orthodox nuns—that would be used at the convent. At its peak the convent housed 97 sisters and served 300 meals daily to the poor.

Both of the churches at the convent were closed down by the Communist authorities in 1926 and the sisterhood was scattered. In 1990 a monument was erected on the convent grounds to Grand Duchess Elizabeth, who was glorified (canonized) by the Russian Orthodox Church (see Romanov sainthood). In 1992, the celebration of divine services was resumed in the Church of Martha and Mary, and in 1994 the sisterhood was reestablished.

In 1999 the Educational Center of Sts. Martha and Mary Convent of Mercy was founded, with the blessing of Patriarch Alexy II of Moscow and All Russia, for the purpose of training Orthodox girls as certified nurses.